public static object[,] GetInstallPath()
{
try
{
return(XU.ConvertToObjects(AppDomain.CurrentDomain.BaseDirectory.ToString()));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}
public static object[,] _CovarianceFromCurves(object[,] curves)
{
try
{
Double[,] _curves = XU.GetDouble2D(curves, "curves");
Double[,] _result = XLCurves.CovarianceFromCurves(_curves);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}
public static object[,] _CurveInterp(object[,] curve,
object[,] dates)
{
try
{
ICurve _curve = XU.GetObject0D <ICurve>(curve, "curve");
Date[,] _dates = XU.GetDate2D(dates, "dates");
Double[,] _result = XLCurves.CurveInterp(_curve, _dates);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}
public static object[,] _PCAFromCurves(object[,] curves,
object[,] useRelative)
{
try
{
Double[,] _curves = XU.GetDouble2D(curves, "curves");
Boolean _useRelative = XU.GetBoolean0D(useRelative, "useRelative");
Double[,] _result = XLCurves.PCAFromCurves(_curves, _useRelative);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}
public static object[,] _PCACurveSimulatorGetRates(object[,] simulator,
object[,] simulationDates,
object[,] requiredTenors)
{
try
{
PCACurveSimulator _simulator = XU.GetObject0D <PCACurveSimulator>(simulator, "simulator");
Date[] _simulationDates = XU.GetDate1D(simulationDates, "simulationDates");
Tenor[] _requiredTenors = XU.GetTenor1D(requiredTenors, "requiredTenors");
Double[,] _result = XLCurves.PCACurveSimulatorGetRates(_simulator, _simulationDates, _requiredTenors);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}
public static object[,] _EPE(object[,] products,
object[,] valueDate,
object[,] forwardValueDates,
object[,] model,
object[,] nSims)
{
try
{
Product[] _products = XU.GetObject1D <Product>(products, "products");
Date _valueDate = XU.GetDate0D(valueDate, "valueDate");
Date[] _forwardValueDates = XU.GetDate1D(forwardValueDates, "forwardValueDates");
NumeraireSimulator _model = XU.GetObject0D <NumeraireSimulator>(model, "model");
Int32 _nSims = XU.GetInt320D(nSims, "nSims");
Double[] _result = XLValuation.EPE(_products, _valueDate, _forwardValueDates, _model, _nSims);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}
public static object[,] _PFE(object[,] products,
object[,] valueDate,
object[,] forwardValueDates,
object[,] requiredPecentiles,
object[,] model,
object[,] nSims)
{
try
{
var _products = XU.GetObject1D <Product>(products, "products");
var _valueDate = XU.GetDate0D(valueDate, "valueDate");
var _forwardValueDates = XU.GetDate1D(forwardValueDates, "forwardValueDates");
var _requiredPecentiles = XU.GetDouble1D(requiredPecentiles, "requiredPecentiles");
var _model = XU.GetObject0D <NumeraireSimulator>(model, "model");
var _nSims = XU.GetInt320D(nSims, "nSims");
var _result = XLValuation.PFE(_products, _valueDate, _forwardValueDates, _requiredPecentiles, _model,
_nSims);
return(XU.ConvertToObjects(_result));
}
catch (Exception e)
{
return(XU.Error2D(e));
}
}